'The New York Trilogy' by Paul Auster
Not quite like any other entry on this list, Paul Auster's New York Trilogy is a series of novels that were first published sequentially but have since been presented in a single volume.
It's hard to describe what City of Glass (1985), Ghosts (1986) and The Locked Room (1986) are really about. On the surface, they're detective novels, but, upon a deeper reading, they clearly address the sorts of philosophical and ethical questions that New Yorkers in specific, and Americans at large, constantly struggle with, including matters of identity and mortality.